After converting and saving to disk, there are three files in PC: x.mobi, cover.jpeg and metadata.opf. Since I run Calibre in xp, book can not sent to KFHD from Calibre directly.
What files should copy to KFHD from Calibre library in PC?

You could try using the Send to Kindle for PCsoftware which is available for free from Amazon. It adds another option to the right-click menu and you can even choose which Kindle to send it, if you should own more than one device. You simply select the file you want to send (in your sample it would be the mobi file only, right click and select Send to Kindle.

I use it regularly and find the book on my Kindle within a few seconds.